A fourth observation is that any parametric correlation
structure for \(\mathbf {Z}\)  is inherited by the Gaussian copula. It is
this property that has led the widespread adoption of Gaussian copula models for
modeling
time series [1]}, longitudinal [2]}, cross-sectional [3]} and
spatial [4]}, [5]} data. The Gaussian copula has a long history, particularly when
formed implicitly via transformation (e.g. [6]}), although
some early and influential mentions include [7]}, [8]} and [9]}, while [10]}
popularized its use in finance.
A comprehensive overview of the Gaussian copula and its properties is given
by [11]}.
